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The Alumni Masterclasses allow alumni to delve deeper into specific subjects after they have completed the core CQF program. These one or two day courses are delivered by leading practioners and respected academics. The full list comprises more than 100 hours of additional material and is included in the cost of the CQF.

Volatility, Advanced Modeling with PC Workshops

Tutor: Paul Wilmott

Duration: 2 days

What you will learn:

Important volatility forecasting methods

The different meanings of volatility

Calibration to market prices, representing the skew and smile

Deterministic volatility surfaces

Stochastic volatility

Uncertain volatility

Robustness and minimizing model error, static hedging

Volatility, static and dynamic hedging and portfolio theory.

VG Modeling: Pricing Financial Derivatives in Equity and Credit Risk

Tutor: Wim Schoutens

Duration: 2 days

What you will learn:

See more realistic VG models for stocks and credit risk work on real data

Which Levy processes are useful for financial modeling purposes and which are not?

How to price an option surface of vanillas under advanced models within a second

Learn about the very recent multivariate VG models that can be calibrated on univariate vanilla surfaces

Learn about the new credit risk models driven by Levy processes and see how they can nicely capture the CDS term structure

Learn how to simulate fast VG based models:

to price exotics

to run scenarios for risk-management purposes

to simulate your insurance-linked products under a more advanced setting